Solving variational inequalities defined on a domain with infinitely many linear constraints

Shu-Cherng Fang, S. Wu and Ilker Birbil

No EI 2002-51, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We study a variational inequality problem whose domain is defined by infinitely many linear inequalities. A discretization method and an analytic center based inexact cutting plane method are proposed. Under proper assumptions, the convergence results for both methods are given. We also provide numerical examples for the proposed methods.

Keywords: Analytical center; Cutting plane method; Discretization method; Inexact approach; Variational inequality problem (search for similar items in EconPapers)
Date: 2002-12-31
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